"Everyone is asking about strength in Treasury prices after ISM,"
said ED&F Man Capital Markets' Tom DiGaloma in an email.
"Shorts may be covering ahead of NFP possibly — some talk of
buying out the curve from foreign investors too."

Strong economic data is supposed to encourage the Federal Reserve
to want to taper quantitative easing and raise rates more
aggressively sooner than later, which means higher interest
rates. This is why people are perplexed by the falling rates.

"Bonds have been breaking higher since the GDP print yesterday,"
noted Stifel Nicolaus' Dave Lutz in an email.

"We are hearing the bid for treasuries is coming from across the
investment spectrum – HFs, Long Onlys, Pensions, Asians, Banks,
Insurers, etc... Heck of a bet into the Non-Farm payroll print
tomorrow."

Lutz pointed to a few reasons why bonds might be moving up:

low liquidity in the bond markets

no inflation

the Fed is still considered more hawkish than its peers like
the Bank of Japan and the European Central Bank